Hi guys,

Laid down some high build primer and admitedly it probably laid down a little dry.

I'm not sanding and have noticed micro pinholes, really really small throughout the job

I've posted photos below, what if any problems will this cause under my base coat?
bear in mind this is sanding with 240 and still have to sand with 400.

I would not call those pinholes. It's more like your primer just didn't "flow out" even, probably being as you said, "dry." Sand as level as you can for now and hit it again for another leveling. You would be okay then..... I don't like to just 400 something like that out...